SIC最小准则下的检测结果如下,表明原始假设不可拒绝,即数据有单位根。
空hypothesis : laushasaunitroot
Exogenous :常数,线性趋势
lag length :2 (自动基础知识,最大lag=11 ) )。
t-Statistic Prob.*
augmented dickey-fullerteststatistic-2.8522640.1836
testcriticalvalues 33601 % level-4.075340
5% level-3.466248
10% level-3.159780
*mackinnon(1996 ) one-sided p-values。
augmented dickey
从属可变: d (laus ) ) ) ) ) )。
方法: least squares
date :04/19/10 time :00336029
sample(adjusted ) : 2003M06 2010M02
included observations 336081 after adjustments
variablecoefficientstd.errort -静态专业版。
Laus(-1 )-0.0961540.033711-2.852264.0056
d(Laus(-1 ) ) 0.277307 ) 0.107765 ) 2.573249.0120
d(Laus(-2 ) ) 0.267434 ) 0.112258 ) 2.382311.0197
c 0.3586790.1201482.9852960.0038
@trend(2003m03 ) 0.001129 0.000629 1.793788 0.0768
r-squared 0.232264 meandependentvar 0.017248
adjusted r-squared 0.191857 s.d.dependent var 0.092995
log likelihood 88.66555 hannan-quinncriter.--2.006515
前静态(prob ) 0.000427
AIC在最小准则下的检测结果如下,表明可以拒绝原假设,即数据平稳。
空hypothesis : laushasaunitroot
Exogenous :常数,线性趋势
lag length :11 (自动基础知识,最大lag=11 ) )。
t-Statistic Prob.*
augmented dickey-fullerteststatistic-3.6675500.0311
testcriticalvalues :1 % level-4.090602
5 %等级- 3.473447
10% level-3.163967
*mackinnon(1996 ) one-sided p-values。
augmented dickey
从属可变: d (laus ) ) ) ) ) )。
方法: least squares
date :04/19/10 time :00336032
范例(adjusted ) : 2004M03 2010M02
included observations 336072 after adjustments
variablecoefficientstd.errort -静态专业版。
Laus(-1 )-0.2287080.062360-3.667550.0005
d(Laus(-1 ) ) 0.380046 0.117766 3.227139 0.0021
d(Laus(-2 ) ) 0.293686 ) 0.129738 ) 2.263681.0274
d(Laus(-3 ) ) 0.169357 0.130475 1.298002 0.1994
d(Laus(-4 ) ) 0.082224 ) 0.119306 ) 0.689182 ) 0.4935
d(Laus(-5 ) ) 0.211606 ) 0.120553 ) 1.755286 ) 0.0845
d(Laus(-6 )-0.0068040.117780-0.057770.9541
d(Laus(-7 ) ) 0.348143 0.117460 2.963938 0.0044
d(Laus(-8 )-0.2132730.125900-1.6939920.0956
d(Laus(-9 )-0.0036860.129064-0.0285620.9773
d(Laus(-10 ) )0.070850.129564.546836.5866
d(Laus(-11 ) ) 0.390049.130423 ) 2.990637.0041
C 0.796047 0.216183 3.682283 0.0005
@trend(2003m03 ) 0.003431 0.001065 3.222824 0.0021
r-squared 0.442577 meandependentvar 0.011301
adjusted r-squared 0.317638 s.d.dependent var 0.096100
log likelihood 88.02962 hannan-quinncriter.--1.880144
前静态(f-statistic ) 0.000431